CreditRisk

Evaluation of Credit Risk with Structural and Reduced Form Models

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".

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Description file content

Package
CreditRisk
Type
Package
Title
Evaluation of Credit Risk with Structural and Reduced Form Models
Version
0.1.0
Date
2017-09-01
Author
Alessandro Cimarelli [anl, aut, cre] Nicolò Manca [anl, aut, cre]
Maintainer
Alessandro Cimarelli
Description
Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".
License
MIT + file LICENSE
Encoding
UTF-8
LazyData
true
Imports
fOptions, stats
RoxygenNote
6.0.1
Suggests
testthat
NeedsCompilation
no
Packaged
2017-09-12 15:48:29 UTC; amministratore
Repository
CRAN
Date/Publication
2017-09-12 18:06:03 UTC

install.packages('CreditRisk')

0.1.0

11 days ago

Alessandro Cimarelli

MIT + file LICENSE

Imports

fOptions, stats

Suggests

testthat

Discussions